sp500.its: S&P 500 Daily High/Low Interval Time Series

In dataSDA: Datasets and Basic Statistics for Symbolic Data Analysis

S&P 500 Daily High/Low Interval Time Series

Description

Daily high and low prices of the S&P 500 index from January 2, 2004 to December 30, 2005 (504 trading days). This dataset is a benchmark for interval time series forecasting, matching the period used in the foundational work by Arroyo, Gonzalez-Rivera and Mate (2011).

Usage

data(sp500.its)

Format

A data frame with 504 observations and 3 variables:

• date: Trading date (Date class).

• low: Daily low price of the S&P 500 index.

• high: Daily high price of the S&P 500 index.

Details

The S&P 500 is a market-capitalization-weighted index of 500 leading publicly traded companies in the United States. Each observation represents a trading day with the daily low and high prices forming an interval. This dataset has been widely used to evaluate interval-valued autoregressive models, exponential smoothing methods for intervals, and center-and-range forecasting approaches.

Metadata

Sample size (n)	504
Variables (p)	3 (date, low, high)
Subject area	Finance
Symbolic format	Interval time series
Analytical tasks	Forecasting, Time series analysis

Source

Yahoo Finance, ticker ^GSPC. Downloaded via the quantmod package.

References

Arroyo, J., Gonzalez-Rivera, G. and Mate, C. (2011). Forecasting with interval and histogram data: Some financial applications. In Handbook of Empirical Economics and Finance, pp. 247–280. Chapman and Hall/CRC.

Examples

data(sp500.its)
head(sp500.its)
plot(sp500.its$date, sp500.its$high, type = "l", col = "red",
     ylab = "Price", xlab = "Date", main = "S&P 500 Daily High/Low")
lines(sp500.its$date, sp500.its$low, col = "blue")
legend("topleft", c("High", "Low"), col = c("red", "blue"), lty = 1)

dataSDA documentation built on June 12, 2026, 9:06 a.m.